How can I make a groove in a sphere?
You can add a sharp 'crease' to a model by using the edge split modifier. I see in your screenshot that you already have the modifier applied. 

The edge split modifier will treat sharp edges as qualified to split, regardless of the Edge Angle specified in the modifier. Edge Crease forces a pinching effect to be applied to the geometry generated from the subsurf modifier. By combining these two, you can get a sharp edge while maintaining the smoothing effect of the subsurf modifier.

In edit mode, select the edges you wish to effect and press 'Ctrl+E' to open the Edges menu. Select 'Mark Sharp'.This will split the edges to create sharp edges in the shading.


Afterwards, select those same edges and the edges connecting the corners of your grooves. Use 'Ctrl+E' again to open the Edges menu and use the 'Edge Crease' option to pinch the geometry into a sharp profile, effectively ignoring the rounded edges from the subsurf modifier.


Here is a sphere showcasing the different effects. Left is normal geometry, middle is 'Mark Sharp' Applied, and right is 'Mark Sharp' and 'Edge Crease' applied.